September 15:
A Check on U.S. Money Markets
Treasury settlements and tax payments converge on the same day · No current signs of funding stress · A window to test the shock-absorbing capacity of short-term funding markets with long-term yields already elevated
This is not a crisis call. The price of money is already high · On September 15, the question is whether the flow of funds also comes under strain.
No Clear Signs of Funding Stress Yet
SOFR transaction volume fell from $3.51 trillion in early January to $2.81 trillion on August 28 · down about 20% · but the move looks closer to normalization in repo borrowing demand as hedge-fund basis trades were scaled back than to a collapse in market activity.1,10
Average SOFR-IORB spread in August was about -1 bp · on August 28 it was 0 bp (SOFR 3.65% = IORB 3.65%) · EFFR was 3.63% the same day · through month-end, there was no clear sign of funding stress or spillover into the federal funds market.1,10
What Converges on September 15
Under the U.S. Treasury's tentative schedule, 3-year, 10-year and 30-year securities all settle on September 15 · based on the August 5 quarterly refunding, issuance sizes are $58 billion for the 3-year, $39 billion for the 10-year and $22 billion for the 30-year · $119 billion of coupon securities in total · 4-week, 8-week and 17-week Bills are also scheduled to settle that day.2,3
Third-quarter estimated tax payments for corporations and individuals are also due that day · private-sector cash moves toward the TGA.4
It is scheduled gross coupon issuance · distinguish it from net coupon supply after subtracting maturities · the net burden should be recalculated after the early-September auctions.
Why This Time Warrants a Closer Watch
RMP has been reduced from $40 billion → $25 billion → $10 billion per month · no additional RMP is scheduled from August 14 through September 14 · only about $17 billion of reinvestments are planned.1,5
ON RRP is essentially depleted · Government MMF assets remain large at about $6.55 trillion · the key is not the amount of cash itself, but where that cash is allocated between repo and Bills when it is needed.1
Yuanta's ≈9% estimate falls into the <10% bucket above · this does not mean a crisis threshold has been breached; it means repo rates historically reacted more strongly to Treasury supply shocks of the same size in this range.
Pressure Factors
Buffers
Low-Probability Transmission Path
What matters is not whether repo rates rise, but whether cash fails to come in even at high rates and the strain spreads into the Treasury and federal funds markets.
What to Watch Around September 15
How Others Are Framing the Same Issue
Formal research links balance-sheet runoff to repo-market pressure · the lower the level of liquidity, the greater the rate sensitivity to a Treasury supply shock of the same size.6
Treasury explicitly plans to reduce Bill issuance in September in anticipation of mid-September tax inflows, then expand it again in October.3
In an FT interview, Duffie explains the financial-stability role of reserves and the risk of disruption in overnight funding markets if reserves are drawn down too far · this was not a specific warning about September 15.7
September is a test of shock absorption · October is a test of the cash-allocation structure · the baseline is that current signs of funding stress remain limited.1
Treasury projects a TGA balance of about $950 billion at the end of September and a late-October peak of $1.05 trillion (±$0.05 trillion) · even if September passes smoothly, renewed Bill issuance in October and shifts in MMF cash allocation remain variables to watch.3
September 15 is not a crisis date; it is the first test.
If nothing happens, it confirms that U.S. funding-market buffers are working normally · if small cracks appear, the next question is whether the strain transmits to the Treasury market.